Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0063 |
| Annualized Std Dev | 0.1471 |
| Annualized Sharpe (Rf=0%) | 0.0429 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1145 |
| Quartile 1 | -0.0037 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0040 |
| Maximum | 0.1342 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0093 |
| Skewness | -0.2190 |
| Kurtosis | 27.9021 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0067 |
| Gain Deviation | 0.0071 |
| Loss Deviation | 0.0077 |
| Downside Deviation (MAR=210%) | 0.0117 |
| Downside Deviation (Rf=0%) | 0.0067 |
| Downside Deviation (0%) | 0.0067 |
| Maximum Drawdown | 0.3942 |
| Historical VaR (95%) | -0.0124 |
| Historical ES (95%) | -0.0218 |
| Modified VaR (95%) | -0.0105 |
| Modified ES (95%) | -0.0105 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2012-11-27 | 2020-03-18 | NA | -0.3942 | 2093 | 1839 | NA |
| 2004-03-09 | 2008-10-10 | 2009-09-02 | -0.3750 | 1383 | 1158 | 225 |
| 1999-01-08 | 1999-12-27 | 2004-01-07 | -0.2088 | 1256 | 244 | 1012 |
| 2010-09-13 | 2011-01-14 | 2011-11-11 | -0.1532 | 297 | 88 | 209 |
| 2012-02-10 | 2012-03-16 | 2012-05-09 | -0.0993 | 62 | 25 | 37 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | -1.7 | 1.2 | 0 | 0.6 | 0 | 0 | -0.6 | -0.6 | 0.6 | 1.3 | 0.7 | 0.7 | 2.2 |
| 2000 | 0 | 0 | 0.7 | 0 | 0 | 0 | 1.3 | 0 | 0.6 | 0.6 | 0 | 0.6 | 3.9 |
| 2001 | -0.7 | 0.3 | 0.4 | 0.1 | 0.3 | 0.3 | 0.7 | 0.5 | 0.8 | 0.9 | -0.2 | 1.7 | 5 |
| 2002 | 0.3 | 0 | 0.1 | 0.5 | 0.5 | 0.1 | 0.7 | -0.1 | 0.2 | -0.3 | -0.4 | 0.2 | 1.8 |
| 2003 | -0.1 | 0.6 | -0.7 | 0.5 | 0.8 | -0.6 | -1 | 0.5 | 0.9 | 1.1 | -0.8 | 0.4 | 1.6 |
| 2004 | 2.8 | -0.4 | -0.3 | 1.2 | -1 | 0.2 | 0.7 | -0.4 | -0.6 | 0 | 0.6 | 0.4 | 3.3 |
| 2005 | -0.7 | 0.5 | 0.7 | 0.5 | 1 | -0.4 | 0.2 | 0.1 | 0.4 | 0 | -0.2 | 0.2 | 2.3 |
| 2006 | 0 | 0.1 | 0.8 | -1.3 | 0.4 | 0 | 0.3 | 0.1 | 0.3 | 0 | -0.2 | -0.5 | -0.1 |
| 2007 | 0.2 | 0 | 0.1 | 0.1 | -0.4 | 0.8 | -0.5 | 0 | -0.1 | -0.3 | -0.2 | 1.5 | 1.2 |
| 2008 | -0.1 | -1.7 | -0.2 | -0.1 | 0.4 | 0.5 | 0.3 | 0.4 | 2.6 | -3.4 | -4.5 | -2.8 | -8.5 |
| 2009 | -0.1 | -1.8 | 1.2 | 0.7 | -0.4 | 0 | -0.1 | 0.8 | 0.4 | 1.2 | -0.5 | -0.5 | 1 |
| 2010 | 0.2 | -0.5 | -0.2 | -0.5 | -0.8 | -0.2 | 1.1 | -0.3 | 0.3 | -0.2 | -1.1 | 2.1 | 0 |
| 2011 | 1.4 | -1.2 | 0.2 | 1.4 | 0 | -0.5 | 1.1 | -1.2 | 1.2 | 0.1 | 0 | 0.8 | 3.3 |
| 2012 | 1.1 | 0.7 | 0.4 | -0.4 | 0.8 | -0.3 | -1.3 | 0.3 | 0.3 | 0.7 | 0.2 | 0.6 | 3.1 |
| 2013 | -0.7 | -0.3 | 0 | 0 | -2.2 | 1.1 | -1.4 | 0.3 | -0.2 | 0.9 | 0 | 0.8 | -1.6 |
| 2014 | 0 | -0.2 | -0.5 | 0.7 | -0.4 | 0.2 | 0.3 | 0.1 | 0.1 | -0.7 | -0.1 | 0.4 | 0.1 |
| 2015 | 0.6 | 0.7 | -0.1 | -1.1 | 0.2 | 0.6 | -0.2 | -0.1 | 0.4 | -0.5 | 0.7 | 0 | 1.2 |
| 2016 | 0.1 | 0 | 0 | -0.9 | 0.3 | 0.9 | -0.6 | 0.3 | -0.2 | 1.3 | -0.9 | -0.1 | 0.3 |
| 2017 | -0.4 | -0.4 | -0.1 | -0.1 | 0.2 | -0.1 | 0.7 | 0.6 | -0.3 | 0.1 | 1 | -0.4 | 0.9 |
| 2018 | -0.5 | 0.2 | 0.9 | 0 | -0.1 | 0.2 | -0.1 | 0.2 | 0 | 0.4 | -1.5 | -5.4 | -5.6 |
| 2019 | 0.8 | -0.7 | 0.7 | 0.4 | 0.5 | -0.3 | 0.8 | -0.6 | 0.1 | -0.4 | -0.1 | -0.1 | 1 |
| 2020 | -0.1 | -2.9 | -4 | -0.3 | 0.7 | 0.2 | 0.3 | 0.3 | 0.1 | 0.2 | 0.6 | 0.5 | -4.5 |
| 2021 | 0.1 | 0.2 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
